<html>
 <head>
  <meta charset="utf-8"/>
  <meta content="width=device-width, initial-scale=1, maximum-scale=1, user-scalable=no" name="viewport"/>
  <title>
   anning189的回复  | 数螺 | NAUT IDEA
  </title>
  <link href="http://cdn.bootcss.com/bootstrap/3.3.6/css/bootstrap-theme.min.css" rel="stylesheet"/>
  <link href="http://cdn.bootcss.com/bootstrap/3.3.6/css/bootstrap.min.css" rel="stylesheet"/>
  <style type="text/css">
   #xmain img {
                  max-width: 100%;
                  display: block;
                  margin-top: 10px;
                  margin-bottom: 10px;
                }

                #xmain p {
                    line-height:150%;
                    font-size: 16px;
                    margin-top: 20px;
                }

                #xmain h2 {
                    font-size: 24px;
                }

                #xmain h3 {
                    font-size: 20px;
                }

                #xmain h4 {
                    font-size: 18px;
                }


                .header {
	           background-color: #0099ff;
	           color: #ffffff;
	           margin-bottom: 20px;
	        }

	        .header p {
                  margin: 0px;
                  padding: 10px 0;
                  display: inline-block;  
                  vertical-align: middle;
                  font-size: 16px;
               }

               .header a {
                 color: white;
               }

              .header img {
                 height: 25px;
              }
  </style>
  <script src="http://cdn.bootcss.com/jquery/3.0.0/jquery.min.js">
  </script>
  <script src="http://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS-MML_HTMLorMML" type="text/javascript">
   MathJax.Hub.Config({elements: ["bbpress-forums"]});
  </script>
  <script src="http://nautstatic-10007657.file.myqcloud.com/static/css/readability.min.js" type="text/javascript">
  </script>
  <script type="text/javascript">
   $(document).ready(function() {
                 var loc = document.location;
                 var uri = {
                  spec: "http://cos.name/cn/profile/3849/replies/page/13/",
                  host: "http://cos.name",
                  prePath: "http://cos.name",
                  scheme: "http",
                  pathBase: "http://cos.name/"
                 };
    
                 var documentClone = document.cloneNode(true);
                 var article = new Readability(uri, documentClone).parse();
     
                 document.getElementById("xmain").innerHTML = article.content;
                });
  </script>
  <!-- 1466467319: Accept with keywords: (title(0.0):论坛, topn(0.3):大家,芯片,系统,残差,帖子,会员,函数,用户名,题目,结果,模型,论文,参考文献,因果,系数,变量,矩阵,检验,阶数,密码,普通,新手,常数,经济,图书馆,主题,单位根,总计,论坛,主站).-->
 </head>
 <body class="bbp-user-page single singular bbpress paged-13 single-author sidebar" onload="">
  <div class="header">
   <div class="container">
    <div class="row">
     <div class="col-xs-6 col-sm-6 text-left">
      <a href="/databee">
       <img src="http://nautidea-10007657.cos.myqcloud.com/logo_white.png"/>
      </a>
      <a href="/databee">
       <p>
        数螺
       </p>
      </a>
     </div>
     <div class="hidden-xs col-sm-6 text-right">
      <p>
       致力于数据科学的推广和知识传播
      </p>
     </div>
    </div>
   </div>
  </div>
  <div class="container text-center">
   <h1>
    anning189的回复
   </h1>
  </div>
  <div class="container" id="xmain">
   <div class="hfeed site" id="page">
    <header class="site-header" id="masthead" role="banner">
     <div id="cos-logo">
      <a href="http://cos.name/cn">
       <img src="http://cos.name/cn/wp-content/themes/COS-forest/images/headers/cos-logo.png"/>
      </a>
     </div>
     <div class="navbar" id="navbar">
      <nav class="navigation main-navigation" id="site-navigation" role="navigation">
       <h3 class="menu-toggle">
        菜单
       </h3>
       <div class="menu-%e8%8f%9c%e5%8d%951-container">
        <ul class="nav-menu" id="menu-%e8%8f%9c%e5%8d%951">
         <li class="menu-item menu-item-type-custom menu-item-object-custom menu-item-home menu-item-407772" id="menu-item-407772">
          <a href="http://cos.name/cn/">
           论坛首页
          </a>
         </li>
         <li class="menu-item menu-item-type-custom menu-item-object-custom menu-item-407773" id="menu-item-407773">
          <a href="http://cos.name/cn/forums/">
           讨论区
          </a>
         </li>
         <li class="menu-item menu-item-type-custom menu-item-object-custom menu-item-407774" id="menu-item-407774">
          <a href="http://cos.name/cn/wp-login.php?action=register">
           注册
          </a>
         </li>
         <li class="menu-item menu-item-type-custom menu-item-object-custom menu-item-407819" id="menu-item-407819">
          <a href="http://cos.name/">
           主站
          </a>
         </li>
        </ul>
       </div>
      </nav>
      <!-- #site-navigation -->
     </div>
     <!-- #navbar -->
    </header>
    <!-- #masthead -->
    <div class="site-main" id="main">
     <div class="content-area" id="primary">
      <div class="site-content" id="content" role="main">
       <article class="post-0 type- status-publish hentry" id="post-0">
        <header class="entry-header">
         <h1 class="entry-title">
          anning189
         </h1>
        </header>
        <!-- .entry-header -->
        <div class="entry-content">
         <div id="bbpress-forums">
          <div id="bbp-user-wrapper">
           <div id="bbp-single-user-details">
            <div id="bbp-user-avatar">
             <span class="vcard">
              <a class="url fn n" href="http://cos.name/cn/profile/3849/" rel="me" title="anning189">
               <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=150&amp;d=monsterid&amp;r=g"/>
              </a>
             </span>
            </div>
            <!-- #author-avatar -->
            <div id="bbp-user-navigation">
             <ul>
              <li class="">
               <span class="vcard bbp-user-profile-link">
                <a class="url fn n" href="http://cos.name/cn/profile/3849/" rel="me" title="anning189的档案">
                 档案
                </a>
               </span>
              </li>
              <li class="">
               <span class="bbp-user-topics-created-link">
                <a href="http://cos.name/cn/profile/3849/topics/" title="anning189发起的主题">
                 发起的主题
                </a>
               </span>
              </li>
              <li class="current">
               <span class="bbp-user-replies-created-link">
                <a href="http://cos.name/cn/profile/3849/replies/" title="anning189创建的回复">
                 创建的回复
                </a>
               </span>
              </li>
              <li class="">
               <span class="bbp-user-favorites-link">
                <a href="http://cos.name/cn/profile/3849/favorites/" title="anning189的收藏夹">
                 收藏夹
                </a>
               </span>
              </li>
             </ul>
            </div>
            <!-- #bbp-user-navigation -->
           </div>
           <!-- #bbp-single-user-details -->
           <div id="bbp-user-body">
            <div class="bbp-user-replies-created" id="bbp-user-replies-created">
             <h2 class="entry-title">
              回复的主题
             </h2>
             <div class="bbp-user-section">
              <div class="bbp-pagination">
               <div class="bbp-pagination-count">
                查看 15 个帖子 - 181 到 195（总计 226 个）
               </div>
               <div class="bbp-pagination-links">
                <a class="prev page-numbers" href="http://cos.name/cn/profile/3849/replies/page/12/">
                 ←
                </a>
                <a class="page-numbers" href="http://cos.name/cn/profile/3849/replies/">
                 1
                </a>
                <span class="page-numbers dots">
                 …
                </span>
                <a class="page-numbers" href="http://cos.name/cn/profile/3849/replies/page/12/">
                 12
                </a>
                <span class="page-numbers current">
                 13
                </span>
                <a class="page-numbers" href="http://cos.name/cn/profile/3849/replies/page/14/">
                 14
                </a>
                <span class="page-numbers dots">
                 …
                </span>
                <a class="page-numbers" href="http://cos.name/cn/profile/3849/replies/page/16/">
                 16
                </a>
                <a class="next page-numbers" href="http://cos.name/cn/profile/3849/replies/page/14/">
                 →
                </a>
               </div>
              </div>
              <ul class="forums bbp-replies" id="topic-0-replies">
               <li class="bbp-header">
                <div class="bbp-reply-author">
                 作者
                </div>
                <!-- .bbp-reply-author -->
                <div class="bbp-reply-content">
                 帖子
                </div>
                <!-- .bbp-reply-content -->
               </li>
               <!-- .bbp-header -->
               <li class="bbp-body">
                <div class="bbp-reply-header" id="post-214684">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月8日 上午5:19
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2858/">
                    新手问题!!!!!!!!!!1
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2858/#post-214684">
                   8 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-214684 -->
                <div class="odd bbp-parent-forum-999 bbp-parent-topic-2858 bbp-reply-position-8 user-id-3849 post-214684 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <p>
                   没必要学了，只要你R学好
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-214629">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月7日 下午3:11
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2836/">
                    新手求教 学R到底用那本参考书好
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2836/#post-214629">
                   6 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-214629 -->
                <div class="even bbp-parent-forum-999 bbp-parent-topic-2836 bbp-reply-position-6 user-id-3849 post-214629 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <p>
                   时间序列，可以重点学以下几个包
                   <br/>
                   fSeries，urca，uroot，fmultiple，
                   <br/>
                   但是这些包对目前最新的统计方法实现的还不太全，搞这方面的要自己写程序了，hoho
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-214150">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月4日 上午3:07
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2788/">
                    请问R中怎样返回矩阵的秩？
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2788/#post-214150">
                   3 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-214150 -->
                <div class="odd bbp-parent-forum-999 bbp-parent-topic-2788 bbp-reply-position-3 user-id-3849 post-214150 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <p>
                   qr(x)$rank
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-214052">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月2日 下午1:37
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2725/">
                    开始学习urca包和vars包
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2725/page/2/#post-214052">
                   17 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-214052 -->
                <div class="even bbp-parent-forum-999 bbp-parent-topic-2725 bbp-reply-position-17 user-id-3849 topic-author post-214052 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <blockquote class="d4pbbc-quote">
                   <p>
                    [b]引用第15楼[i]areg[/i]于[i]2006-12-02 21:29[/i]发表的“”[/b]:
                   </p>
                   <p>
                    祝贺你，以后如有生态方面的经典资料，而论坛上没有，请你给我留心一下，帮助帮助。
                    <br/>
                    这本俺就需要了。
                    <br/>
                    谢谢
                   </p>
                  </blockquote>
                  <p>
                   没问题
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-214043">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月2日 下午12:01
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2725/">
                    开始学习urca包和vars包
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2725/#post-214043">
                   15 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-214043 -->
                <div class="odd bbp-parent-forum-999 bbp-parent-topic-2725 bbp-reply-position-15 user-id-3849 topic-author post-214043 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <p>
                   呵呵，我找到电子版了，新版和旧版差很多啊
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-214019">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月2日 上午9:54
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2763/">
                    求助，如何迭代求和？
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2763/#post-214019">
                   5 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-214019 -->
                <div class="even bbp-parent-forum-999 bbp-parent-topic-2763 bbp-reply-position-5 user-id-3849 topic-author post-214019 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <p>
                   谢谢各位大侠的指教，受益良多
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-213977">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月2日 上午3:59
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2725/">
                    开始学习urca包和vars包
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2725/#post-213977">
                   13 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-213977 -->
                <div class="odd bbp-parent-forum-999 bbp-parent-topic-2725 bbp-reply-position-13 user-id-3849 topic-author post-213977 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <p>
                   人大图书馆真的有这本书，我晕，我们这落后，没有
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-213976">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月2日 上午3:54
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2725/">
                    开始学习urca包和vars包
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2725/#post-213976">
                   12 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-213976 -->
                <div class="even bbp-parent-forum-999 bbp-parent-topic-2725 bbp-reply-position-12 user-id-3849 topic-author post-213976 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <p>
                   Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer,
                   <br/>
                   关于这本书的介绍，看了，心脏都快跳出来了！！！！
                   <br/>
                   Table of contents
                   <br/>
                   1 Introduction
                  </p>
                  <p>
                   1.1 Objectives of Analyzing Multiple Time Series
                   <br/>
                   1.2 Some Basics
                   <br/>
                   1.3 Vector Autoregressive Processes
                   <br/>
                   1.4 Outline of the Following Chapters
                   <br/>
                   Part 1 Finite Order Vector Autoregressive Processes
                  </p>
                  <p>
                   2 Stable Vector Autoregressive Processes
                  </p>
                  <p>
                   2.1 Basic Assumptions and Properties of VAR Processes
                   <br/>
                   2.1.1 Stable VAR(p) Processes
                   <br/>
                   2.1.2 The Moving Average Representation of a VAR Process
                   <br/>
                   2.1.3 Stationary Processes
                   <br/>
                   2.1.4 Computation of Autocovariates and Autocorrelations of Stable VAR Processes
                   <br/>
                   2.2 Forecasting
                   <br/>
                   2.2.1 The Loss Function
                   <br/>
                   2.2.2 Point Forecasts
                   <br/>
                   2.2.3 Interval Forecasts and Forecast Regions
                   <br/>
                   2.3 Structural Analysis with VAR Models
                   <br/>
                   2.3.1 Granger-Causality, Instantaneous Causality, and Multi-Step Causality
                   <br/>
                   2.3.2 Impulse Response Analysis
                   <br/>
                   2.3.3 Forecast Error Variance Decomposition
                   <br/>
                   2.3.4 Remarks on the Interpretation of VAR Models
                   <br/>
                   2.4 Exercises
                   <br/>
                   3 Estimation of Vector Autoregressive Processes
                  </p>
                  <p>
                   3.1 Introduction
                   <br/>
                   3.2 Multivariate Least Squares Estimation
                   <br/>
                   3.2.1 The Estimator
                   <br/>
                   3.2.2 Asymptotic Properties of the Least Squares Estimator
                   <br/>
                   3.2.3 An Example
                   <br/>
                   3.2.4 Small Sample Properties of the LS Estimator
                   <br/>
                   3.3 Least Squares Estimation with Mean-Adjusted Data and Yule-Walker Estimation
                   <br/>
                   3.3.1 Estimation when the Process Mean is Known
                   <br/>
                   3.3.2 Estimation of the Process Mean
                   <br/>
                   3.3.3 Estimation with Unknown Process Mean
                   <br/>
                   3.3.4 The Yule-Walker Estimator
                   <br/>
                   3.3.5 An Example
                   <br/>
                   3.4 Maximum Likelihood Estimation
                   <br/>
                   3.4.1 The Likelihood Function
                   <br/>
                   3.4.2 The ML Estimators
                   <br/>
                   3.4.3 Properties of the ML Estimators
                   <br/>
                   3.5 Forecasting with Estimated Processes
                   <br/>
                   3.5.1 General Assumptions and Results
                   <br/>
                   3.5.2 The Approximate MSE Matrix
                   <br/>
                   3.5.3 An Example
                   <br/>
                   3.5.4 A Small Sample Investigation
                   <br/>
                   3.6 Testing for Causality
                   <br/>
                   3.6.1 A Wald Test for Granger-Causality
                   <br/>
                   3.6.2 An Example
                   <br/>
                   3.6.3 Testing for Instantaneous Causality
                   <br/>
                   3.6.4 Testing for Multi-Step Causality
                   <br/>
                   3.7 The Asymptotic Distributions of Impulse Responses and Forecast Error Variance Decompositions
                   <br/>
                   3.7.1 The Main Results
                   <br/>
                   3.7.2 Proof of Proposition 3.6
                   <br/>
                   3.7.3 An Example
                   <br/>
                   3.7.4 Investigating the Distributions of the Impulse Responses by Simulation Techniques
                   <br/>
                   3.8 Exercises
                   <br/>
                   3.8.1 Algebraic Problems
                   <br/>
                   3.8.2 Numerical Problems
                   <br/>
                   4 VAR Order Selection and Checking the Model Adequacy
                  </p>
                  <p>
                   4.1 Introduction
                   <br/>
                   4.2 A Sequence of Tests for Determining the VAR Order
                   <br/>
                   4.2.1 The Impact of the Fitted VAR Order on the Forecast MSE
                   <br/>
                   4.2.2 The Likelihood Ratio Test Statistic
                   <br/>
                   4.2.3 A Testing Scheme for VAR Order Determination
                   <br/>
                   4.2.4 An Example
                   <br/>
                   4.3 Criteria for VAR Order Selection
                   <br/>
                   4.3.1 Minimizing the Forecast MSE
                   <br/>
                   4.3.2 Consistent Order Selection
                   <br/>
                   4.3.3 Comparison of Order Selection Criteria
                   <br/>
                   4.3.4 Some Small Sample Simulation Results
                   <br/>
                   4.4 Checking the Whiteness of the Residuals
                   <br/>
                   4.4.1 The Asymptotic Distributions of the Autocovariances and Autocorrelations of a White Noise Process
                   <br/>
                   4.4.2 The Asymptotic Distributions of the Residual Autocovariances and Autocorrelations of an Estimated VAR Process
                   <br/>
                   4.4.3 Portmanteau Tests
                   <br/>
                   4.4.4 Lagrange Multiplier Tests
                   <br/>
                   4.5 Testing for Normality
                   <br/>
                   4.5.1 Tests for Nonnormality of a Vector White Noise Process
                   <br/>
                   4.5.2 Tests for Nonnormality of a VAR Process
                   <br/>
                   4.6 Tests for Structural Change
                   <br/>
                   4.6.1 Chow Tests
                   <br/>
                   4.6.2 Forecast Tests for Structural Change
                   <br/>
                   4.7 Exercises
                   <br/>
                   4.7.1 Algebraic Problems
                   <br/>
                   4.7.2 Numerical Problems
                   <br/>
                   5 VAR Processes with Parameter Constraints
                  </p>
                  <p>
                   5.1 Introduction
                   <br/>
                   5.2 Linear Constraints
                   <br/>
                   5.2.1 The Model and the Constraints
                   <br/>
                   5.2.2 LS, GLS, and EGLS Estimation
                   <br/>
                   5.2.3 Maximum Likelihood Estimation
                   <br/>
                   5.2.4 Constraints for Individual Equations
                   <br/>
                   5.2.5 Restrictions for the White Noise Covariance Matrix
                   <br/>
                   5.2.6 Forecasting
                   <br/>
                   5.2.7 Impulse Response Analysis and Forecast Error Variance Decompositions
                   <br/>
                   5.2.8 Specification of Subset VAR Models
                   <br/>
                   5.2.9 Model Checking
                   <br/>
                   5.2.10 An Example
                   <br/>
                   5.3 VAR Processes with Nonlinear Parameter Restrictions
                   <br/>
                   5.4 Bayesian Estimation
                   <br/>
                   5.4.1 Basic Terms and Notation
                   <br/>
                   5.4.2 Normal Priors for the Parameters of a Gaussian VAR Process
                   <br/>
                   5.4.3 The Minnesota or Litterman Prior
                   <br/>
                   5.4.4 Practical Considerations
                   <br/>
                   5.4.5 An Example
                   <br/>
                   5.4.6 Classical versus Bayesian Interpretation of α in Forecasting and Structural Analysis
                   <br/>
                   5.5 Exercises
                   <br/>
                   5.5.1 Algebraic Exercises
                   <br/>
                   5.5.2 Numerical Problems
                   <br/>
                   Part 2 Cointegrated Processes
                  </p>
                  <p>
                   6 Vector Error Correction Models
                  </p>
                  <p>
                   6.1 Integrated Processes
                   <br/>
                   6.2 VAR Processes with Integrated Variables
                   <br/>
                   6.3 Cointegrated Processes, Common Stochastic Trends, and Vector Error Correction Models
                   <br/>
                   6.4 Deterministic Terms in Cointegrated Processes
                   <br/>
                   6.5 Forecasting Integrated and Cointegrated Variables
                   <br/>
                   6.6 Causality Analysis
                   <br/>
                   6.7 Impulse Response Analysis
                   <br/>
                   6.8 Exercises
                   <br/>
                   7 Estimation of Vector Error Correction Models
                  </p>
                  <p>
                   7.1 Estimation of a Simple Special Case VECM
                   <br/>
                   7.2 Estimation of General VECMs
                   <br/>
                   7.2.1 LS Estimation
                   <br/>
                   7.2.2 EGLS Estimation of the Cointegration Parameters
                   <br/>
                   7.2.3 ML Estimation
                   <br/>
                   7.2.4 Including Deterministic Terms
                   <br/>
                   7.2.5 Other Estimation Methods for Cointegrated Systems
                   <br/>
                   7.2.6 An Example
                   <br/>
                   7.3 Estimating VECMs with Parameter Restrictions
                   <br/>
                   7.3.1 Linear Restrictions for the Cointegration Matrix
                   <br/>
                   7.3.2 Linear Restrictions for the Short-Run and Loading Parameters
                   <br/>
                   7.3.3 An Example
                   <br/>
                   7.4 Bayesian Estimation of Integrated Systems
                   <br/>
                   7.4.1 The Model Setup
                   <br/>
                   7.4.2 The Minnesota or Litterman Prior
                   <br/>
                   7.4.3 An Example
                   <br/>
                   7.5 Forecasting Estimated Integrated and Cointegrated Systems
                   <br/>
                   7.6 Testing for Granger-Causality
                   <br/>
                   7.6.1 The Noncausality Restrictions
                   <br/>
                   7.6.2 Problems Related to Standard Wald Tests
                   <br/>
                   7.6.3 A Wald Test Based on a Lag Augmented VAR
                   <br/>
                   7.6.4 An Example
                   <br/>
                   7.7 Impulse Response Analysis
                   <br/>
                   7.8 Exercises
                   <br/>
                   7.8.1 Algebraic Exercises
                   <br/>
                   7.8.2 Numeric Exercises
                   <br/>
                   8 Specification of VECMs
                  </p>
                  <p>
                   8.1 Lag Order Specification
                   <br/>
                   8.2 Testing for the Rank of Cointegration
                   <br/>
                   8.2.1 A VECM without Deterministic Terms
                   <br/>
                   8.2.2 A Nonzero Mean Term
                   <br/>
                   8.2.3 A Linear Trend
                   <br/>
                   8.2.4 A Linear Trend in the Variables and Not in the Cointegration Relations
                   <br/>
                   8.2.5 Summary of Results and Other Deterministic Terms
                   <br/>
                   8.2.6 An Example
                   <br/>
                   8.2.7 Prior Adjustment of Deterministic Terms
                   <br/>
                   8.2.8 Choice of Deterministic Terms
                   <br/>
                   8.2.9 Other Approaches to Testing for teh Cointegrating Rank
                   <br/>
                   8.3 Subset VECMs
                   <br/>
                   8.4 Model Diagnostics
                   <br/>
                   8.4.1 Checking for Residual Autocorrelation
                   <br/>
                   8.4.2 Testing for Nonnormality
                   <br/>
                   8.4.3 Tests for Structural Change
                   <br/>
                   8.5 Exercises
                   <br/>
                   8.5.1 Algebraic Exercises
                   <br/>
                   8.5.2 Numerical Exercises
                   <br/>
                   Part 3 Structural and Conditional Models
                  </p>
                  <p>
                   9 Structural VARs and VECMs
                  </p>
                  <p>
                   9.1 Structural Vector Autoregressions
                   <br/>
                   9.1.1 The A-Model
                   <br/>
                   9.1.2 The B-Model
                   <br/>
                   9.1.3 The AB-Model
                   <br/>
                   9.1.4 Long-Run Restrictions à la Blanchard-Quah
                   <br/>
                   9.2 Structural Vector Error Correction Models
                   <br/>
                   9.3 Estimation of Structural Parameters
                   <br/>
                   9.3.1 Estimating SVAR Models
                   <br/>
                   9.3.2 Estimating Structural VECMs
                   <br/>
                   9.4 Impulse Response Analysis and Forecast Error Variance
                   <br/>
                   9.5 Further Issues
                   <br/>
                   9.6 Exercises
                   <br/>
                   9.6.1 Algebraic Problems
                   <br/>
                   9.6.2 Numerical Problems
                   <br/>
                   10 Systems of Dynamic Simultaneous Equations
                  </p>
                  <p>
                   10.1 Background
                   <br/>
                   10.2 Systems with Unmodelled Variables
                   <br/>
                   10.2.1 Types of Variables
                   <br/>
                   10.2.2 Structural Form, Reduced Form, Final Form
                   <br/>
                   10.2.3 Models with Rational Expectations
                   <br/>
                   10.2.4 Cointegrated Variables
                   <br/>
                   10.3 Estimation
                   <br/>
                   10.3.1 Stationary Variables
                   <br/>
                   10.3.2 Estimation of Models with I(1) Variables
                   <br/>
                   10.4 Remarks on Model Specification and Model Checking
                   <br/>
                   10.5 Forecasting
                   <br/>
                   10.5.1 Unconditional and Conditional Forecasts
                   <br/>
                   10.5.2 Forecasting Estimated Dynamic SEMs
                   <br/>
                   10.6 Multiplier Analysis
                   <br/>
                   10.7 Optimal Control
                   <br/>
                   10.8 Concluding Remarks on Dynamic SEMs
                   <br/>
                   10.9 Exercises
                   <br/>
                   Part 4 Infinite Order Vector Autoregressive Processes
                  </p>
                  <p>
                   11 Vector Autoregressive Moving Average Processes
                  </p>
                  <p>
                   11.1 Introduction
                   <br/>
                   11.2 Finite Order Moving Average Processes
                   <br/>
                   11.3 VARMA Processes
                   <br/>
                   11.3.1 The Pure MA and Pure VAR Representations of a VARMA Process
                   <br/>
                   11.3.2 A VAR(1) Representation of a VARMA Process
                   <br/>
                   11.4 The Autocovariances and Autocorrelations of a VARMA(p, q) Process
                   <br/>
                   11.5 Forecasting VARMA Processes
                   <br/>
                   11.6 Transforming and Aggregating VARMA Processes
                   <br/>
                   11.6.1 Linear Transformations of VARMA Processes
                   <br/>
                   11.6.2 Aggregation of VARMA Processes
                   <br/>
                   11.7 Interpretation of VARMA Models
                   <br/>
                   11.7.1 Granger-Causality
                   <br/>
                   11.7.2 Impulse Reponse Analysis
                   <br/>
                   11.8 Exercises
                   <br/>
                   12 Estimation of VARMA Models
                  </p>
                  <p>
                   12.1 The Identification Problem
                   <br/>
                   12.1.1 Nonuniqueness of VARMA Representations
                   <br/>
                   12.1.2 Final Equations Form and Echelong Form
                   <br/>
                   12.1.3 Illustrations
                   <br/>
                   12.2 The Gaussian Likelihood Function
                   <br/>
                   12.2.1 The Likelihood Function of an MA(1) Process
                   <br/>
                   12.2.2 The MA(q) Case
                   <br/>
                   12.2.3 The VARMA(1,1) Case
                   <br/>
                   12.2.4 The General VARMA(p, q) Case
                   <br/>
                   12.3 Computation of the ML Estimates
                   <br/>
                   12.3.1 The Normal Equations
                   <br/>
                   12.3.2 Optimization Algorithms
                   <br/>
                   12.3.3 The Information Matrix
                   <br/>
                   12.3.4 Preliminary Estimation
                   <br/>
                   12.3.5 An Illustration
                   <br/>
                   12.4 Asymptotic Properties of the ML Estimators
                   <br/>
                   12.4.1 Theoretical Results
                   <br/>
                   12.4.2 A Real Data Example
                   <br/>
                   12.5 Forecasting Estimated VARMA Processes
                   <br/>
                   12.6 Estimated Impulse Responses
                   <br/>
                   12.7 Exercises
                   <br/>
                   13 Specification and Checking the Adequacy of VARMA
                  </p>
                  <p>
                   13.1 Introduction
                   <br/>
                   13.2 Specification of the Final Equations Form
                   <br/>
                   13.2.1 A Specification Procedure
                   <br/>
                   13.2.2 An Example
                   <br/>
                   13.3 Specification of Echelon Forms
                   <br/>
                   13.3.1 A Procedure for Small Systems
                   <br/>
                   13.3.2 A Full Search Procedure Based on Linear Least Squares Computations
                   <br/>
                   13.3.3 Hannan-Kavalieris Procedure
                   <br/>
                   13.3.4 Poskitt’ Procedure
                   <br/>
                   13.4 Remarks on Other Specification Strategies for VARMA Models
                   <br/>
                   13.5 Model Checking
                   <br/>
                   13.2.1 LM Tests
                   <br/>
                   13.5.2 Residual Autocorrelations and Portmanteau Tests
                   <br/>
                   13.5.3 Prediction Tests for Structural Change
                   <br/>
                   13.6 Critique of VARMA Model Fitting
                   <br/>
                   13.7 Exercises
                   <br/>
                   14 Cointegrated VARMA Processes
                  </p>
                  <p>
                   14.1 Introduction
                   <br/>
                   14.2 The VARMA Framework for I(1) Variables
                   <br/>
                   14.2.1 Levels of VARMA Models
                   <br/>
                   14.2.2 The Reverse Echelon Form
                   <br/>
                   14.2.3 The Error Correction Echelong Form
                   <br/>
                   14.3 Estimation
                   <br/>
                   14.3.1 Estimation of ARMARE Models
                   <br/>
                   14.3.2 Estimation of EC-ARMARE Models
                   <br/>
                   14.4 Specification of EC-ARMARE Models
                   <br/>
                   14.4.1 Specification of Kronecker Indices
                   <br/>
                   14.4.2 Specification of the Cointegrating Rank
                   <br/>
                   14.5 Forecasting Cointegrated VARMA Processes
                   <br/>
                   14.6 An Example
                   <br/>
                   14.7 Exercises
                   <br/>
                   14.7.1 Algebraic Exercises
                   <br/>
                   14.7.2 Numerical Exercises
                   <br/>
                   15 Fitting Finite Order VAR Models to Infinite Order Processes
                  </p>
                  <p>
                   15.1 Background
                   <br/>
                   15.2 Multivariate Least Squares Estimation
                   <br/>
                   15.3 Forecasting
                   <br/>
                   15.3.1 Theoretical Results
                   <br/>
                   15.3.2 An Example
                   <br/>
                   15.4 Impulse Response Analysis and Forecast Error Variance Decompositions
                   <br/>
                   15.4.1 Asymptotic Theory
                   <br/>
                   15.4.2 An Example
                   <br/>
                   15.5 Cointegrated Infinite Order VARs
                   <br/>
                   15.5.1 The Model Setup
                   <br/>
                   15.5.2 Estimation
                   <br/>
                   15.5.3 Testing for the Cointegrating Rank
                   <br/>
                   15.6 Exercises
                   <br/>
                   Part 5 Time Series Topics
                  </p>
                  <p>
                   16 Multivariate ARCH and GARCH Models
                  </p>
                  <p>
                   16.1 Background
                   <br/>
                   16.2 Univariate GARCH Models
                   <br/>
                   16.2.1 Definitions
                   <br/>
                   16.2.2 Forecasting
                   <br/>
                   16.3 Multivariate GARCH Models
                   <br/>
                   16.3.1 Multivariate ARCH
                   <br/>
                   16.3.2 MGARCH
                   <br/>
                   16.3.3 Other Multivariate ARCH and GARCH Models
                   <br/>
                   16.4 Estimation
                   <br/>
                   16.4.1 Theory
                   <br/>
                   16.4.2 An Example
                   <br/>
                   16.5 Checking MGARCH Models
                   <br/>
                   16.5.1 ARCH-LM and ARCH-Portmanteau Tests
                   <br/>
                   16.5.2 LM and Portmanteau Tests for Remaining ARCH
                   <br/>
                   16.5.3 Other Diagnostic Tests
                   <br/>
                   16.5.4 An Example
                   <br/>
                   16.6 Interpreting GARCH Models
                   <br/>
                   16.6.1 Causality in Variance
                   <br/>
                   16.6.2 Conditional Moment Profiles and Generalized Impulse Responses
                   <br/>
                   16.7 Problems and Extensions
                   <br/>
                   16.8 Exercises
                   <br/>
                   17 Periodic VAR Processes and Intervention Models
                  </p>
                  <p>
                   17.1 Introduction
                   <br/>
                   17.2 The VAR(p) Model with Time Varying Coefficients
                   <br/>
                   17.2.1 General Properties
                   <br/>
                   17.2.2 ML Estimation
                   <br/>
                   17.3 Periodic Processes
                   <br/>
                   17.3.1 A VAR Representation with Time Invariant Coefficients
                   <br/>
                   17.3.2 ML Estimation and Testing for Time Varying Coefficients
                   <br/>
                   17.3.3 An Example
                   <br/>
                   17.3.4 Bibliographical Notes and Extensions
                   <br/>
                   17.4 Intervention Models
                   <br/>
                   17.4.1 Interventions in the Intercept Model
                   <br/>
                   17.4.2 A Discrete Change in the Mean
                   <br/>
                   17.4.3 An Illustrative Example
                   <br/>
                   17.4.4 Extensions and References
                   <br/>
                   17.5 Exercises
                   <br/>
                   18 State Space Models
                  </p>
                  <p>
                   18.1 Background
                   <br/>
                   18.2 State Space Models
                   <br/>
                   18.2.1 The Model Setup
                   <br/>
                   18.2.2 More General State Space Models
                   <br/>
                   18.3 The Kalman Filter
                   <br/>
                   18.3.1 The Kalman Filter Recursions
                   <br/>
                   18.3.2 Proof of the Kalman Filter Recursions
                   <br/>
                   18.4 Maximum Likelihood Estimation of State Space Models
                   <br/>
                   18.4.1 The Log-Likelihood Function
                   <br/>
                   18.4.2 The Identification Problem
                   <br/>
                   18.4.3 Maximization of the Log-Likelihood Function
                   <br/>
                   18.4.4 Asymptotic Properties of the ML Estimator
                   <br/>
                   18.5 A Real Data Example
                   <br/>
                   18.6 Exercises
                   <br/>
                   Appendix
                  </p>
                  <p>
                   A Vectors and Matrices
                  </p>
                  <p>
                   A.1 Basic Definitions
                   <br/>
                   A.2 Basic Matrix Operations
                   <br/>
                   A.3 The Determinant
                   <br/>
                   A.4 The Inverse, the Adjoint, and Generalized Inverses
                   <br/>
                   A.4.1 Inverse and Adjoint of a Square Matrix
                   <br/>
                   A.4.2 Generalized Inverses
                   <br/>
                   A.5 The Rank
                   <br/>
                   A.6 Eigenvalues and -vectors — Characteristic Values and Vectors
                   <br/>
                   A.7 The Trace
                   <br/>
                   A.8 Some Special Matrices and Vectors
                   <br/>
                   A.8.1 Idempotent and Nilpotent Matrices
                   <br/>
                   A.8.2 Orthogonal Matrices and Vectors and Orthogonal Complements
                   <br/>
                   A.8.3 Definite Matrices and Quadratic Forms
                   <br/>
                   A.9 Decomposition and Diagonalization of Matrices
                   <br/>
                   A.9.1 The Jordan Canonical Form
                   <br/>
                   A.9.2 Decomposition of Symmetric Matrices
                   <br/>
                   A.9.3 The Choleski Decomposition of a Positive Definite Matrix
                   <br/>
                   A.10 Partitioned Matrices
                   <br/>
                   A.11 The Kronecker Product
                   <br/>
                   A.12 The vec and vech Operators and Related Matrices
                   <br/>
                   A.12.1 The Operators
                   <br/>
                   A.12.2 Elimination, Duplication, and Commutation Matrices
                   <br/>
                   A.13 Vector and Matrix Differentiation
                   <br/>
                   A.14 Optimization of Vector Functions
                   <br/>
                   A.15 Problems
                   <br/>
                   B Multivariate Normal and Related Distributions
                  </p>
                  <p>
                   B.1 Multivariate Normal Distributions
                   <br/>
                   B.2 Related Distributions
                   <br/>
                   C Stochastic Convergence and Asymptotic Distributions
                  </p>
                  <p>
                   C.1 Concepts of Stochastic Convergence
                   <br/>
                   C.2 Order in Probability
                   <br/>
                   C.3 Infinite Sums of Random Variables
                   <br/>
                   C.4 Laws of Large Numbers and Central Limit Theorems
                   <br/>
                   C.5 Standard Asymptotic Properties of Estimators and Test Statistics
                   <br/>
                   C.6 Maximum Likelihood Estimation
                   <br/>
                   C.7 Likelihood Ratio, Lagrange Multiplier, and Wald Tests
                   <br/>
                   C.8 Unit Root Asymptotics
                   <br/>
                   C.8.1 Univariate Processes
                   <br/>
                   C.8.2 Multivariate Processes
                   <br/>
                   D Evaluating Properties of Estimators and Test Statistics by Simulation and Resampling Techniques
                  </p>
                  <p>
                   D.1 Simulating a Multiple Time Series with VAR Generation Process
                   <br/>
                   D.2 Evaluating Distributions of Functions of Multiple Time Series by Simulation
                   <br/>
                   D.3 Resampling Methods
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-213975">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月2日 上午3:20
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2725/">
                    开始学习urca包和vars包
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2725/#post-213975">
                   11 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-213975 -->
                <div class="odd bbp-parent-forum-999 bbp-parent-topic-2725 bbp-reply-position-11 user-id-3849 topic-author post-213975 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <p>
                   ##vars pkg##
                   <br/>
                   加载这个包需要以下几个包的支持
                   <br/>
                   MASS; strucchange; zoo
                   <br/>
                   ##建立一个VAR模型
                   <br/>
                   对于平稳序列可以建立VAR模型，平稳性可由单位根检验判断
                   <br/>
                   VAR模型每个方程含有同样的解释变量，因此可以OLS估计，当然亦可MLE，见Hamilton1994
                   <br/>
                   该包即采用OLS估计
                   <br/>
                   library("vars")
                   <br/>
                   data(Canada) ##加拿大宏观经济变量数据
                   <br/>
                   var.const=VAR(Canada, p = 2, type = "const")#估计一个带有常数项的VAR
                   <br/>
                   &gt; args(VAR)
                   <br/>
                   function (y, p = 1, type = c("const", "trend", "both", "none"))
                   <br/>
                   y为原始变量矩阵；p为给定滞后阶数；type给定系统是否含有常数，时间，常数+时间，nothing。
                   <br/>
                   返回一个varest类，包含一些估计结果：系数估计，残差等。
                   <br/>
                   plot（var.const）#输出每个内生变量拟和图，残差图，残差ACF，PACF图。
                  </p>
                  <p>
                   A.const=A(var.const)
                   <br/>
                   函数A（）输入一个varest类，即VAR估计结果，讲返回系统系数估计矩阵（不包含确定项）
                   <br/>
                   B.const=B(var.const)
                   <br/>
                   函数B（）输入一个varest类，即VAR估计结果，讲返回系统系数估计矩阵（所有系数）
                  </p>
                  <p>
                   var.lag=VARselect(Canada, lag.max = 5, type="const")
                   <br/>
                   function (y, lag.max = 10, type = c("const", "trend", "both",     "none"))
                   <br/>
                   该函数用以选择VAR滞后阶数，y为原始数据矩阵，lag.max为最大滞后阶数
                   <br/>
                   返回AIC、SC、HQ信息准则值，以及预测残差和等信息以判定滞后阶数
                  </p>
                  <p>
                   因果关系检验
                   <br/>
                   目前国内现有期刊水平(就我看到的杂志如：数量经济技术经济研究，经济研究)都是在做双变量granger非因果检验。vars包直接做多变量间因果分析。
                   <br/>
                   &gt; args(causality)
                   <br/>
                   function (x, cause = NULL)
                   <br/>
                   x为VAR估计结果，cause为原因变量
                   <br/>
                   检验为两种形式:
                   <br/>
                   1)F test 2)Word检验
                   <br/>
                   &gt; causality(var.const, cause = c("e","U"))
                   <br/>
                   $Granger
                  </p>
                  <p>
                   Granger causality: e U do not Granger-cause prod rw
                  </p>
                  <p>
                   data:  VAR object var.const
                   <br/>
                   F-Test = 4.2545, df1 = 8, df2 = 292, p-value = 7.512e-05
                  </p>
                  <p>
                   $Instant
                  </p>
                  <p>
                   H0: No instantaneous causality between: e U and prod rw
                  </p>
                  <p>
                   data:  VAR object var.const
                   <br/>
                   Chi^2 = 2.5822, df = 4, p-value = 0.63
                  </p>
                  <p>
                   详细理论上的东西见参考文献吧
                   <br/>
                   不过在vars包的pdf文件参考文献中由本书挺吸引人的
                   <br/>
                   Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer,
                   <br/>
                   ew York.
                   <br/>
                   要是能搞到这本书就爽了。
                   <br/>
                   人大的兄弟们，你们那图书馆有吗？
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-213908">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月1日 上午9:42
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2736/">
                    R、Bioconductor和芯片分析
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2736/#post-213908">
                   12 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-213908 -->
                <div class="even bbp-parent-forum-999 bbp-parent-topic-2736 bbp-reply-position-12 user-id-3849 post-213908 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <p>
                   这年头，不写论文别人怎么知道你懂的多，大家说对不？
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-213907">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月1日 上午9:41
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2736/">
                    R、Bioconductor和芯片分析
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2736/#post-213907">
                   11 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-213907 -->
                <div class="odd bbp-parent-forum-999 bbp-parent-topic-2736 bbp-reply-position-11 user-id-3849 post-213907 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <blockquote class="d4pbbc-quote">
                   <p>
                    [b]引用第9楼[i]谢益辉[/i]于[i]2006-12-01 16:45[/i]发表的“”[/b]:
                    <br/>
                    anning189，关于你说的那两个包，可否像areg那样边学习边介绍啊，我可是很感兴趣的哦：）
                   </p>
                  </blockquote>
                  <p>
                   可以啊，我的进度比较慢
                   <br/>
                   其中大部分函数看看就能用了。
                   <br/>
                   我是边学边写论文，最近有一篇要出炉了。题目是：渐近方差估计量选择与有效单位根检验——基于随机模拟的比较研究。
                   <br/>
                   给大家个题目。
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-213896">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月1日 上午8:39
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2747/">
                    [求助成功]如何确定frame里面几十个字段变量的那些记录号有缺失数据？
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2747/#post-213896">
                   4 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-213896 -->
                <div class="even bbp-parent-forum-999 bbp-parent-topic-2747 bbp-reply-position-4 user-id-3849 post-213896 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <p>
                   example
                   <br/>
                   x=1:3
                   <br/>
                   x=c(x,NA)
                   <br/>
                   x[!is.na(x)]
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-213891">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月1日 上午7:59
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2736/">
                    R、Bioconductor和芯片分析
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2736/#post-213891">
                   8 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-213891 -->
                <div class="odd bbp-parent-forum-999 bbp-parent-topic-2736 bbp-reply-position-8 user-id-3849 post-213891 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <blockquote class="d4pbbc-quote">
                   <p>
                    [b]引用第6楼[i]areg[/i]于[i]2006-12-01 15:46[/i]发表的“”[/b]:
                   </p>
                   <p>
                    不要谦虚，实际上你也很牛啊，每个人各有专攻，好多基础知识，我争取向你多学习一点
                   </p>
                  </blockquote>
                  <p>
                   我基本上就懂点计量经济的，时间序列分析的，还想和大家多讨论问题。
                   <br/>
                   areg兄是专攻哪个方面的？
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-213880">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月1日 上午5:30
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2746/">
                    请教大家一下，R里算矩阵对角线上的和的命令是那个？
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2746/#post-213880">
                   2 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-213880 -->
                <div class="even bbp-parent-forum-999 bbp-parent-topic-2746 bbp-reply-position-2 user-id-3849 post-213880 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <p>
                   sum(diag(x))
                   <br/>
                   example:
                   <br/>
                   x=matrix(1:16,4,4)
                   <br/>
                   sum(diag(x))
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
                <div class="bbp-reply-header" id="post-213879">
                 <div class="bbp-meta">
                  <span class="bbp-reply-post-date">
                   2006年12月1日 上午5:22
                  </span>
                  <span class="bbp-header">
                   回复：
                   <a class="bbp-topic-permalink" href="http://cos.name/cn/topic/2736/">
                    R、Bioconductor和芯片分析
                   </a>
                  </span>
                  <a class="bbp-reply-permalink" href="http://cos.name/cn/topic/2736/#post-213879">
                   6 楼
                  </a>
                  <span class="bbp-admin-links">
                  </span>
                 </div>
                 <!-- .bbp-meta -->
                </div>
                <!-- #post-213879 -->
                <div class="odd bbp-parent-forum-999 bbp-parent-topic-2736 bbp-reply-position-6 user-id-3849 post-213879 reply type-reply status-publish hentry">
                 <div class="bbp-reply-author">
                  <a class="bbp-author-avatar" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   <img src="http://sdn.geekzu.org/avatar/f8d6415705583cd10615d52a1b6797db?s=80&amp;d=monsterid&amp;r=g"/>
                  </a>
                  <br/>
                  <a class="bbp-author-name" href="http://cos.name/cn/profile/3849/" rel="nofollow" title="查看anning189的档案">
                   anning189
                  </a>
                  <br/>
                  <div class="bbp-author-role">
                   普通会员
                  </div>
                 </div>
                 <!-- .bbp-reply-author -->
                 <div class="bbp-reply-content">
                  <p>
                   牛，看来我等是不行了。
                  </p>
                 </div>
                 <!-- .bbp-reply-content -->
                </div>
                <!-- .reply -->
               </li>
               <!-- .bbp-body -->
               <li class="bbp-footer">
                <div class="bbp-reply-author">
                 作者
                </div>
                <div class="bbp-reply-content">
                 帖子
                </div>
                <!-- .bbp-reply-content -->
               </li>
               <!-- .bbp-footer -->
              </ul>
              <!-- #topic-0-replies -->
              <div class="bbp-pagination">
               <div class="bbp-pagination-count">
                查看 15 个帖子 - 181 到 195（总计 226 个）
               </div>
               <div class="bbp-pagination-links">
                <a class="prev page-numbers" href="http://cos.name/cn/profile/3849/replies/page/12/">
                 ←
                </a>
                <a class="page-numbers" href="http://cos.name/cn/profile/3849/replies/">
                 1
                </a>
                <span class="page-numbers dots">
                 …
                </span>
                <a class="page-numbers" href="http://cos.name/cn/profile/3849/replies/page/12/">
                 12
                </a>
                <span class="page-numbers current">
                 13
                </span>
                <a class="page-numbers" href="http://cos.name/cn/profile/3849/replies/page/14/">
                 14
                </a>
                <span class="page-numbers dots">
                 …
                </span>
                <a class="page-numbers" href="http://cos.name/cn/profile/3849/replies/page/16/">
                 16
                </a>
                <a class="next page-numbers" href="http://cos.name/cn/profile/3849/replies/page/14/">
                 →
                </a>
               </div>
              </div>
             </div>
            </div>
            <!-- #bbp-user-replies-created -->
           </div>
          </div>
         </div>
        </div>
        <!-- .entry-content -->
        <footer class="entry-meta">
        </footer>
        <!-- .entry-meta -->
       </article>
       <!-- #post -->
      </div>
      <!-- #content -->
     </div>
     <!-- #primary -->
     <div class="sidebar-container" id="tertiary" role="complementary">
      <div class="sidebar-inner">
       <div class="widget-area">
        <aside class="widget bbp_widget_login" id="bbp_login_widget-2">
         <h3 class="widget-title">
          登录
         </h3>
         <form action="http://cos.name/cn/wp-login.php" class="bbp-login-form" method="post">
          <fieldset>
           <legend>
            登录
           </legend>
           <div class="bbp-username">
            <label for="user_login">
             用户名:
            </label>
           </div>
           <div class="bbp-password">
            <label for="user_pass">
             密码:
            </label>
           </div>
           <div class="bbp-remember-me">
            <label for="rememberme">
             记住用户名
            </label>
           </div>
           <div class="bbp-submit-wrapper">
            <button class="button submit user-submit" id="user-submit" name="user-submit" tabindex="104" type="submit">
             登录
            </button>
           </div>
           <div class="bbp-login-links">
            <a class="bbp-register-link" href="http://cos.name/cn/wp-login.php?action=register" title="注册">
             注册
            </a>
            <a class="bbp-lostpass-link" href="http://cos.name/cn/wp-login.php?action=lostpassword" title="忘记密码">
             忘记密码
            </a>
           </div>
          </fieldset>
         </form>
        </aside>
        <aside class="widget widget_text" id="text-7">
         <h3 class="widget-title">
          搜索
         </h3>
         <div class="textwidget">
          <form action="http://www.google.com/search" id="bbp-search-form" method="get" onsubmit="Gsitesearch(this)" role="search">
           <div>
           </div>
          </form>
          <form id="bbp-search-form-baidu" onsubmit="g(this)" role="search">
           <div>
           </div>
          </form>
         </div>
        </aside>
        <aside class="widget widget_text" id="text-2">
         <h3 class="widget-title">
          新鲜事
         </h3>
         <div class="textwidget">
          <ul>
           <li>
            <a href="http://cos.name/cn/topics/">
             最新帖子
            </a>
           </li>
           <li>
            <a href="http://cos.name/cn/view/popular/">
             最热门主题
            </a>
           </li>
           <li>
            <a href="http://cos.name/cn/view/no-replies/">
             消灭零回复
            </a>
           </li>
          </ul>
         </div>
        </aside>
        <aside class="widget widget_text" id="text-3">
         <h3 class="widget-title">
          RSS订阅
         </h3>
         <div class="textwidget">
          <ul>
           <li>
            <img src="http://cos.name/wp-includes/images/rss.png"/>
            <a href="http://cos.name/cn/topics/feed/">
             所有主题
            </a>
           </li>
           <li>
            <img src="http://cos.name/wp-includes/images/rss.png"/>
            <a href="http://cos.name/cn/forums/feed/">
             所有帖子
            </a>
           </li>
          </ul>
         </div>
        </aside>
       </div>
       <!-- .widget-area -->
      </div>
      <!-- .sidebar-inner -->
     </div>
     <!-- #tertiary -->
    </div>
    <!-- #main -->
    <footer class="site-footer" id="colophon" role="contentinfo">
     <div class="site-info">
      版权所有 © 2014 统计之都 | 由
      <a href="http://wordpress.org/">
       WordPress
      </a>
      构建 | 主题修改自
      <a href="http://wordpress.org/themes/twentythirteen">
       Twenty Thirteen
      </a>
     </div>
     <!-- .site-info -->
    </footer>
    <!-- #colophon -->
   </div>
   <!-- #page -->
  </div>
 </body>
</html>